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Impacts of Unusual Market Activity Announcement on Stock Return: Evidence from The Ace Market in Malaysia

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Listed:
  • Dylan Siong-Yain Chen
  • Venus Khim-Sen Liew

Abstract

This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market at Bursa Malaysia for the period of 2007-2015. This study employs event study methodology to show that there were few days in which the average abnormal return (AAR) and cumulative average abnormal return (CAAR) are statistically significant. In addition, this study also further investigates the abnormal return (AR) and cumulative abnormal return (CAR) for individual companies. It was found that majority of the stocks returns fell significantly 30 days after the UMA announcement. The magnitude of the fall in returns ranges from 4% to 234%. Hence, it is not advisable for investors to buy stock after UMA announcement.

Suggested Citation

  • Dylan Siong-Yain Chen & Venus Khim-Sen Liew, 2019. "Impacts of Unusual Market Activity Announcement on Stock Return: Evidence from The Ace Market in Malaysia," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 11(2), pages 169185-1691, December.
    • Handle: RePEc:mth:ajfa88:v:11:y:2019:i:2:p:169185
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    References listed on IDEAS

    as
    1. Khwaja, Asim Ijaz & Mian, Atif, 2005. "Unchecked intermediaries: Price manipulation in an emerging stock market," Journal of Financial Economics, Elsevier, vol. 78(1), pages 203-241, October.
    2. Jiang, Guolin & Mahoney, Paul G. & Mei, Jianping, 2005. "Market manipulation: A comprehensive study of stock pools," Journal of Financial Economics, Elsevier, vol. 77(1), pages 147-170, July.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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